do you want like a proper cd you can use in all cd players, or a cd full with mp3s, which you can use on some cd players?
they are different. normal cd's can hold about 20 tracks. mp3 ones can hold upto 700mb of data. to create a normal one, do what istonian said, or use nero or something. to create an mp3 one just highlight all your mp3's in windows explorer, copy them to the cd/dvd drive, then it should tell you that you have files waiting to be burned, and you go from there